• Market News | Sep 28, 2015, 6:20 AM

    New Benchmark Indexes – CNDR, BFLY, PPUT, VSTG, et al. – for Enhanced Yield, Reduced Risk, or Capturing of Alpha

    New Benchmark Indexes – CNDR, BFLY, PPUT, VSTG, et al. – for Enhanced Yield, Reduced Risk, or Capturing of Alpha

    On Monday, September 28 at the Fourth Annual CBOE Risk Management Conference (RMC) Europe http://www.cboermceurope.com, a presentation on new CBOE strategy benchmark indexes that use index options was delivered by William Speth, Vice President, Research and Product Development, CBOE. (In 2002 CBOE introduced the first major option-based strategy benchmark index – the CBOE S&P 500 BuyWrite Index (BXM)). Names, tickers and descriptions for many of the new benchmark indexes are at the[...]

  • Market News | Education | Trade Ideas | Sep 24, 2015, 8:26 PM

    RMC Europe Day 3 Preview

    RMC Europe Day 3 Preview

    The final day of the Fourth Annual European Version of CBOE’s Risk Management Conference gets started with a keynote address from Edward Chancellor a noted financial author and historian.  Chancellor’s address is titled, “The Consequences of Extraordinary Monetary Policy – An Historical Perspective on the Current Environment”. After the keynote address the balance of the morning is filled with a wide variety of presentations.  Hitendra Varsani from Morgan Stanely[...]

  • Market News | VIX | Trader Talk | Education | Sep 24, 2015, 1:51 AM

    RMC Europe Day 2 Preview

    RMC Europe Day 2 Preview

    The second day is always the most jam packed day at Risk Management and this year’s European stop in Geneva is full of thought provoking presentations. The day begins with a welcome address from Ed Provost, President and COO of CBOE Holdings.  The welcome address normally touches on new product initiatives and I look forward to finding out what CBOE has in store.  Paul Donovan, the Global Economist from UBS follows the welcoming address delivering a presentation titled, “It[...]

  • Market News | Education | Jul 16, 2015, 11:10 AM

    Agenda for RMC Europe, CBOE Presents 35 Speakers

    Agenda for RMC Europe, CBOE Presents 35 Speakers

    The Fourth Annual CBOE Risk Management Conference Europe will occur on September 28 - 30, 2015, at the InterContinental Hotel in beautiful Geneva, Switzerland. This week the Agenda and List of 35 Speakers for RMC Europe were published at www.cboermceurope.com.  Hosted by the CBOE, RMC is an educational forum dedicated to exploring the latest products, trading strategies and tactics used to manage risk exposure and enhance yields. RMC brings together top traders, strategists and researchers,[...]

  • Market News | Jul 6, 2015, 7:16 AM

    Big Last Week for VIX re: Backwardation, Big Moves & Volume, ETH, Put/Call Ratio, and Bollinger Bands

    Big Last Week for VIX re: Backwardation, Big Moves & Volume, ETH, Put/Call Ratio, and Bollinger Bands

    After the news broke last Sunday (June 28) regarding the closing of banks in Greece, worldwide markets for stocks and oil plunged, and investors sought assets that could rise and serve as diversifiers. The VIX® July futures prices responded by rising from 14.525 on June 26 to 17.375 on the next trading day (June 29). Below are seven key points about VIX action during this past big week – these points could be of interest to technical analysts who are looking for trading signals, and to[...]

  • Technical Analysis & Charts | Education | Mar 9, 2015, 3:00 PM

    RMC Speakers - Volatility of Volatility Rose in Recent Months

    RMC Speakers - Volatility of Volatility Rose in Recent Months

    In the first two months of 2015, the CBOE VIX of VIX Index (VVIX) had an average daily close of 100.2, a higher level than in any of its previous eight full calendar years from 2007 through 2014. On Thursday at the 31st CBOE Annual Risk Management Conference in Carlsbad, expert presentations on Volatility of Volatility (VOV) were delivered by Benn Eifert, Ph.D., Portfolio Manager, Mariner Investment Group and Kambiz Kazemi, Portfolio Manager, Picton Mahoney Asset Management. INTRODUCTION TO INDEXES Before[...]

  • Technical Analysis & Charts | Education | Mar 9, 2015, 11:58 AM

    Selling Volatility Safely:  VIX, VXX, and Other Short Volatility Option Strategies

    Selling Volatility Safely:  VIX, VXX, and Other Short Volatility Option Strategies

    Investors who sell VIX-based products often keep a close eye on contango, and the VIX was in contango on 248 days in 2012 and 219 days in 2014. On Friday at the 31st Annual Risk Management Conference presentations on - Selling Volatility Safely:  VIX, VXX, and Other Short Volatility Option Strategies – were delivered by David Burchmore, Portfolio Manager, Ontario Teachers' Pension Plan, and Rocky Fishman, CFA, Equity Derivatives Strategy, Deutsche Bank Securities. INTRO – VIX IN[...]

  • Education | Futures | Trade Ideas | Mar 7, 2015, 3:34 PM

    Cross-Asset Volatility Discussion at CBOE Risk Management Conference

    Cross-Asset Volatility Discussion at CBOE Risk Management Conference

    One of the final presentations given at the 31st Annual CBOE Risk Management Conference this year was an in depth discussion of volatility across asset classes.   Brandon Bates, Portfolio Manager at BlackRock and Benjamin Bowler, Co-Head of Global Equity Derivatives Research at Bank of America Merrill Lynch co-presented the session titled Leveraging Cross-Asset Volatility Dynamics in Forecasting and Trading. With the emergence of volatility as an asset class it appears that volatility across[...]

  • Market News | Education | Mar 6, 2015, 3:21 PM

    Buzz Gregory Discusses Skew, Term Structure, and Volatility Around the World

    Buzz Gregory Discusses Skew, Term Structure, and Volatility Around the World

    On Friday Krag “Buzz” Gregory, Equity Derivatives Strategist, Goldman Sachs delivered an illuminating presentation on Volatility Around the World. Key topics covered included skew and term structure. CBOE SKEW INDEX – HIGHEST YEAR IN 2014 As an introduction to an overview of Buzz’s remarks, I note that in 2014 the average daily close for the CBOE Volatility Index (VIX) was 14.2 for the second year in a row, and the CBOE SKEW Index had its highest-ever average daily closing[...]

  • Technical Analysis & Charts | Education | Mar 6, 2015, 2:30 PM

    Discussion of Risk Premia and Volatility Selling Strategies

    Discussion of Risk Premia and Volatility Selling Strategies

    Can volatility-selling strategies deliver superior risk-adjusted returns over the long term, particularly in light of the fact that index options generally have been richly priced? On Friday at the CBOE Risk Management Conference (RMC), presentations on Risk Premia and Volatility Selling Strategies were delivered by Donald Pierce, CFA, Chief Investment Officer, San Bernardino County Employees' Retirement Association, and Defina Maluki, Portfolio Manager, Barclays Wealth and Investment Management. BENCHMARK[...]

  • VIX | Trader Talk | Education | Mar 6, 2015, 2:00 PM

    Correlation Between Stocks and Sectors Discussion at RMC

    Correlation Between Stocks and Sectors Discussion at RMC

    Jason Goldberg, Portfolio Manager at PIMCO and Marko Kolanovic, Global Head of Quantitative and Derivatives Strategy from JP Morgan teamed up this morning atCBOE's Risk Management Conference (RMC) in Carlsbad, CA for a presentation billed as Correlation Between Stocks and Between Sectors. This presentation was a combination of educational and informative, discussing what traders can learn from trading in correlation and dispersion along with analysis of recent correlations across different markets. Jason[...]

  • Trader Talk | Education | Futures | Mar 5, 2015, 7:57 PM

    Plan Fiduciaries Discuss Trends in Institutional Options and Volatility Product Usage

    Plan Fiduciaries Discuss Trends in Institutional Options and Volatility Product Usage

    On Thursday at the 31st CBOE Annual Risk Management Conference in Carlsbad, Colin Bebee of Pension Consulting Alliance (PCA) moderated a Panel on Trends in Institutional Options and Volatility Product Usage. A pension fund sponsor on the panel noted that his fund made an allocation to the CBOE S&P 500 BuyWrite Index (BXM), and in the future his fund could consider cash-secured put writing. The Risk/Return Trade-off chart (from the January 2015 paper at www.cboe.com/funds) shows strong risk-adjusted[...]

  • The Art of Hedging Discussed at RMC

    The Art of Hedging Discussed at RMC

    The last presentation of the day today at CBOE’s Risk Management Conference also turned out to be one of the best. Boris Lerner, Head of US Quantitative and Derivative Strategies at Morgan Stanley and Arie Aboulafia, Senior Portfolio Manager from Capstone Investment Advisors teamed up to discuss “The Art of Hedging”.  Many market participants have forgotten that there is a non-quantitative aspect to investing and trading since the industry has become so quantitative. This session[...]

  • Market News | VIX | Blogging Options | Trader Talk | Mar 5, 2015, 11:14 AM

    2015 Risk Management Conference: CBOE President and COO Edward Provost on New Initiatives

    2015 Risk Management Conference: CBOE President and COO Edward Provost on New Initiatives

    Thursday, March 5, 2015       CBOE President and COO Edward Provost kicked off Day Two of RMC with an update on recent CBOE developments, highlighting the exchange’s efforts to broaden access to its marketplace and to   expand and diversify its product offerings. Provost began with an update on CBOE’s extended trading hours initiative.  Last June, CFE implemented near 24-hour trading in VIX futures.  Approximately 9 percent of all VIX futures trading[...]

  • Technical Analysis & Charts | Education | Mar 5, 2015, 9:35 AM

    Options-Based Funds Had Lower Standard Deviation Over the Past 15 Years

    Options-Based Funds Had Lower Standard Deviation Over the Past 15 Years

    On Wednesday at the 31st Annual CBOE Risk Management Conference, a joint presentation on a new study was delivered by Keith Black, Ph.D., CAIA, CFA, Managing Director, Curriculum and Exams, Chartered Alternative Investment Analyst (CAIA) Association.  (Edward Szado, Assistant Professor of Finance, Providence College was scheduled to be on the panel with Dr. Black, but was delayed by weather on the East Coast and unable to attend). Early this year Dr. Black and Dr. Szado published their new groundbreaking[...]